Does "mov ax, 5" put data on CPU's memory/cache or the main RAM?

When issuing mov ax, 5, where does the data actually end up in? Does it go to the CPU's own memory/cache or to the RAM? Or does it fill the CPUs as long as it's not full, and the rest will go to the RAM? In that case do each application receive their own slice in the CPU's memory/cache or how does it work?

I realize this can be very CPU dependent. I'm mainly interested in Windows + Intel modern CPUs like Cor开发者_如何学Pythone series.

AX is a register. This is all done inside registers, or "CPU memory" if that's what you'd like to call it.